AREC-ECON 535 - Applied Econometrics - Material
Announcements
...
Class Cancelled Days
During the Fall Semester I have a predictable set of meetings where I deliver
market outlook and market policy research to extension audiences. If I need to then I will cancel class
meetings and record a makeup video. Look
for those on Canvas and in ECHO360. Some
of my meetings may be virtual and those may be through the afternoons. If the meeting is during class then I will
cancel the class meeting and record a make-up video.
October ? (W) Denver, CO @ Colorado Department of Agriculture Outlook Committee
Meeting
October ? (T&W) Akron, CO @ Colorado Crop Insurance Meeting
November ? (?) Denver, CO @ Industry Outlook Conference
Communication
Protocol
When you send me an email please make sure the subject line leads with
AREC 535:... or ECON 535 or AREC-ECON 535 and provides a topic.
...
Syllabus and Survey
AREC-ECON 535
Syllabus - 8/22
Overheads and Class Materials
AREC-ECON 535 Lec A - 8/22
AREC-ECON 535 Lec B 8/24
Graphic - Example Regression
Graphic - Example Nonlinear
AREC-ECON 535 Lec C 8/28
Example OLS Matrix
Example Slutsky Restriction
AREC-ECON 535 Lec D 9/16
Lee Lemieux (JEL 2010).pdf (Regression Discontinuity. Read the document enough to understand the
concepts illustrated in Figures 1 & 2.)
(I was always a bit worried when
the instructor assigned a JEL article.
Many can take weeks to get through.
Dont invest long unless its for your thesis/dissertation.)
Imbens-Wooldrige
Lecture & Lechner Article (Diff-in-diff.)
Regression discontinuity and
Difference-in-Differences are common specifications with the objective of
establishing causality.
AREC-ECON 535 Lec E 9/23
Example Experimental Design
Tibshirani
(JRSS-B 1996).pdf & Tibshirani (JRSS-B 2011).pdf
are a couple of papers on LASSO.
Exam 1 will encompass the preceding
material.
AREC-ECON 535 Lec F1 10/2
AREC-ECON 535 Lec F2 10/2
AREC-ECON 535 Lec G 10/21
Example - AR Model
Example - DL Model
Supply & Demand Elasticities are
important Equilibrium Displacement Examples
Spatial Econometrics Workshop
Material
AREC-ECON 535 Lec H 11/6 Previous Guest Lecture
Material
Example Panel Model
Example Random Effects Errors
AREC-ECON 535 Lec I 11/11
Example Logit & Probit Models
MacDonald & Moffitt, Lin &
Schmidt
Exam 2 will encompass the preceding
material.
AREC-ECON 535 Lec S 11/18
Example - Dynamic Systems
AREC-ECON 535 Lec T 12/ Extra Material (Not on
Final Exam)
Example Stationary &
Nonstationary Data
Example Time Series Data
Enders Chart
Paper The Chicken or The Egg?
Paper - Cash & Futures Efficiency
- Example of vector autoregression & co-integration
AREC-ECON 535 Lec Z -
Problem Set Material
AREC-ECON 535 Problem Set 1 9/ - due 9/
AREC-ECON 535 Problem Set 1 Data (Right click & Save Link As...)
AREC-ECON 535 Problem Set 1 Key 9/
Problem Set 1 SAS Output (The output
is only if you want to see the Influential Data statistics.)
AREC-ECON 535 Problem Set 2 9/ - due 10/
AREC-ECON 535 Problem Set 2 Data (Right click & Save Link As...)
AREC-ECON 535 Problem Set 2 Key 10/
Problem Set 2 SAS Output (The output
is only if you want to see the Collinearity Diagnostics.)
AREC-ECON 535 Problem Set 3a 10/20 - Part A due 10/24
AREC-ECON 535 Problem Set 3b 10/20 - Part B due 10/28
AREC-ECON 535 Problem Set 3 Part B Data (Right click & Save Link As...)
AREC-ECON 535 Problem Set 3 Key 10/
AREC-ECON 535 Problem Set 4 11/ - due 11/
AREC-ECON 535 Problem Set 4 Data (Right click & Save Link As...)
AREC-ECON 535 Problem Set 4 Key 11/
PS 4 Vote Calculations Spreadsheet
PS 4 SAS Output - (The output is for
you to see contingency tables and informative graphs.)
AREC-ECON 535 Problem Set 5 11/ - due 12/
AREC-ECON 535 Problem Set 5 Data (Right click & Save Link As...)
AREC-ECON 535 Problem Set 5 Key 12/
PS 5 SAS Output - (The output is for
you to see simultaneity test.)
Assignment Related
AREC-ECON 535 Assignment 1 8/ due 9/
Assignment 1 Data.xlsx (Right Click
& Save Link As...)
AREC-ECON 535 Assignment 1 Key 9/
AREC-ECON 535 Assignment 2 9/ due 9/
AREC-ECON 535 Assignment 2 Key 9/
AREC-ECON 535 Assignment 3 10/ - due 11/
AREC-ECON 535 Assignment 3 Key 11/
AREC-ECON 535 Assignment 4 11/ optional- due 12/
Chickens & Eggs.txt (Right Click
& Save Link As...)
E-Views and Software
Materials
Getting
started with R -- Please notice and thank the author...
Getting
your data into E-Views -- Please notice and do not bother the author...
STATA has a multitude of links to reference & support material. There is also an abundance of YouTube
videos...
Previous Exams
AREC-ECON 535 Previous Exam 1s 10/20
AREC-ECON 535 Previous Exam 2s 11/
Good Articles
(What to see a topic? Provide me with
some information.)
Most of what Efron writes are
difficult reads. This one is not the
case. My assessment is that econometrics
and statistics the material of this course -- remains useful even in the
world of big data and data science. This
article has several discussants, and youll have access to them through the
library website if you are interested.
A case study in Type I Error and an absurd version of The Peter Principle - jama_ahlqvist_2024_oi_240031_1712266588.09019.pdf
and published in the Journal of the American Medical Association. The sample details are impressive.
The COVID pandemic is the policy and science interaction of our lifetime. What does the Lancet Commission have to say? The Lancet is not a forum for babble...
I think this is worth a read not with a highlighter but certainly worth
reading. Dave
Friedson McNichols Sabia - 2020-09 - AZI DP 13670.pdf Interesting data cell phone pings. And a study of folks that went to Sturgis in
2020 during a world-wide pandemic and then back home. Please notice Larimer versus Weld Counties on
the map. The economic benefit of the
motorcycle rally was local but the costs were far wider those benefiting from
the event did not pay the full cost. In
economics that has a name for these phenomena and perhaps you should know it
sufficiently well that you can discuss it with someone you might encounter...
Apparently some folks academics took issue with the paper above. I still think it is an interesting data
application. But here is an offered
alternative. SSRN-id3722299.pdf
Interesting. And correct. But this is also partly why people dont like
statistics or statisticians. Moving to a
World Beyond p 0.05.pdf I know
p-values are very useful and communicate both efficiently and effectively. We do need to be more wary of dependence in
data which typically inflates significance to levels much greater than the
actual population level. (For example,
you might think something is significant at the 5% level but because of the
dependence in the data it is significant at the 30% level in the population
which means its insignificant.)
Differences in differences is a classic approach to arguably achieve causality.
Classic work on the minimum wage and differences-in-differences
application. Card Krueger (AER 1994).pdf
Impacts of traffic congestion and the accompanying pollution and infant
health with a differences-in-differences application. Currie Walker (AEJ AE
2011).pdf
Competition among schools and measurement of benefits an instrumental
variable application this is a simultaneity topic. Hoxby
(AER 2000).pdf
Should you read this paper? Deaton Muellbauer (AER
1980).pdf No, it is not
required. But the author was one of your
2015 Nobel Prize winners in economic sciences.
And its an econometric application on consumer demand. New stuff for 1980, in which it was
published. Standard approach today. Good economics, good econometrics, standard
tools used today and nothing you cannot understand. This is modern econometrics.
I just cant resist, Sala-I-Martin
(AER 1997).pdf.
More later...